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Implied volatility in option prices and the lead-lag relation between stock and option prices

Boyle, Phelim P.; Park, Hun Y. - 1994

Persistent link: https://www.econbiz.de/10000952926

The lead-lag relation between spot and option markets and implied volatility in option prices

Boyle, Phelim P.; Byoun, Soku; Park, Hun Y. - In: Research in finance 19 (2002), pp. 269-284

Persistent link: https://www.econbiz.de/10001717576

Pricing lookback and barrier options under the CEV process

Boyle, Phelim P.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 241-264

Persistent link: https://www.econbiz.de/10001436318

Calibrating the Black-Derman-Toy model: some theoretical results

Boyle, Phelim; Tan, Ken Seng; Tian, Weidong - In: Applied Mathematical Finance 8 (2001) 1, pp. 27-48

The Black-Derman-Toy (BDT) model is a popular one-factor interest rate model that is widely used by practitioners. One of its advantages is that the model can be calibrated to both the current market term structure of interest rate and the current term structure of volatilities. The input term...

Persistent link: https://www.econbiz.de/10005495413

Volatility Ambiguity, Consumption and Asset Prices

Liu, Yu - 2020

We formulate a stylized model that admits volatility ambiguity to the Lucas framework. The model specifies an economically motivated ambiguity penalty function that makes volatility ambiguity quantifiable with χ2-statistics, and allows for analytical solutions. The addition of volatility...

Persistent link: https://www.econbiz.de/10012843681